The magnetism of small (only a few nanometers in diameter) Co nanoparticles (NPs) grown on Au(111) was investigated by means of spin-dependent scanning tunneling microscopy and spectroscopy in a broad energy range. Direct evidence is provided for the existence of localized d-states of minority and majority character that govern the spin polarization of the NPs below the Fermi level. On the other hand, the discrete electronic states resulting from the spatially confined sp-like Co surface state electrons above the Fermi level are found to be of majority character. This confirms the theoretically predicted spin-polarized character of the delocalized surface state electrons of Co NPs on Au(111).